Is it possible to write links using Applescript for devices like the EZIO8SA, EZX10RF, EZIO4X2 etc.?

PA: Not currently. That is why Indigo’s link editor doesn’t allow it.

Using the set buttons can I set up Indigo to respond to Group On/Off messages? I received this message from SHN that says I can’t.

You definitely can. Create the link manually between the EZIO and Indigo’s PowerLinc. To do so, follow the EZIO instructions for how to manually create a link between it and a responder module (like a LampLinc, but in this case it is the PowerLinc). When the instructions say to press and hold the SET button on the responding module (PowerLinc), press the “Send PowerLinc Button Press” button inside Indigo’s EZIO8 Edit Module Settings dialog sheet. Pressing the physical PowerLinc SET button won’t work, which is why we have the UI button to force the PowerLinc to send the SET button command.

Once you do that and you have manually created the link between the EZIO and the PowerLinc for that input (note you have to do the above for EVERY input on the EZIO you want to catch), next just create a Trigger Action in Indigo to catch it. Instead of using the Device State Changed trigger Type, use the INSTEON Command Received trigger Type. You have to do this because you are catching the raw group/scene command in Indigo.